Risk and asset allocation
This book provides a comprehensive treatment of all the steps of asset allocation: detecting the market invariants; estimating the invariants' distribution; modeling the market at any horizon; defining optimality; accounting for estimation- and model-risk; including the practitioner's experience within a sound statistical framework; computing the investor's optimal allocation. Almost all results are proved explicitly in technical appendices that can be downloaded freely from the book's web-site. Each chapter ends with a set of exercises. Many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site. TOC:Preface.- One-dimensional Random Variables.- Multi-dimensional Random Variables.- Modelling the Market.- Estimating the Invariants Distribution.- Evaluating Allocations.- Optimizing Allocations.- Estimation and Optimization together.- Appenices: Linear Algebra.- Functional Analysis.- References.- Index.
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- ISBN
-
9783540222132
3540222138
- Maße
-
24 cm
- Umfang
-
XXVI, 532 S.
- Sprache
-
Englisch
- Anmerkungen
-
Literaturverz. S. 505 - 513
- Klassifikation
-
Wirtschaft
Mathematik
- Schlagwort
-
Portfolio Selection
Finanzmathematik
- Ereignis
-
Veröffentlichung
- (wo)
-
Berlin, Heidelberg, New York
- (wer)
-
Springer
- (wann)
-
2005
- Urheber
-
Meucci, Attilio
- Inhaltsverzeichnis
- Rechteinformation
-
Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.
- Letzte Aktualisierung
-
11.06.2025, 13:41 MESZ
Datenpartner
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Meucci, Attilio
- Springer
Entstanden
- 2005
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